Capital Relief Trades

  • Fed smiles on SRT

    Huntingdon and Santander USA get the green light

    The Federal Reserve last month approved CLNs for regulatory capital relief purposes for both Huntingdon Bancshares and Santander USA.

    In a letter dated December 9, the deputy associate secretary of the board said that Huntingon may calculate its risk-weighted asset .......

    News 10 January 2024

  • First-mover advantage

    SCI recently asked Georgi Stoev, head of Northern Europe &am...

    The EIF invested over €3bn in the securitisation market last year, of which €2.8bn was executed in a synthetic format. In terms of jurisdictions, the fund continues to strengthen its engagement across Central and Eastern Europe (CEE), with Romania (accounting for over €700m of investments), Bulgaria (close to €500m) and Poland (€450m) topping the investment list.

    Q: Is .......

    The Structured Credit Interview 10 January 2024

  • Latest SRTx fixings released

    Index values indicate gradual tightening in spreads and impr...

    The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. Spread indexes have moved higher compared with December’s fixings (SCI 4 December), particularly in the large corporate space, owing to typical year-end volatility.

    After two months of tightening in SRTx Spread Indexes, this month’s survey responses show a widening of both the large .......

    News 8 January 2024

  • Accretive process

    Wasif Kazi, structurer at UniCredit, forecasts continued gro...

    Q: Given that 2022 was widely viewed as a breakthrough year in terms of CEE capital relief trade issuance, is the Polish market still a trend to monitor, or is it becoming an established jurisdiction for SRT transactions?
    A: I would say it's somewhere in between the two. We see more transactions each year coming out of Poland. We see .......

    The Structured Credit Interview 5 January 2024

  • Winds of change

    Bumper 2023 GSE CRT returns set to diminish

    The outstanding returns offered by GSE CRT product last year are unlikely to be repeated in 2024 as the tailwinds which boosted the sector dissipate and may even become headwinds, according to Mark Fontanilla, the founder and chief executive of the market-leading data and information company which bears his name.

    Benchmark GSE CRT bonds yielded a record total annual return of 17.69% .......

    News 2 January 2024

  • ESMA launches RTS and ITS consultation

    Market updates and sector developments

    The European Securities and Markets Authority (ESMA) has launched a consultation on revisions to the securitisation disclosure framework. The process is due to run until 15 March and aims to collect stakeholders’ views on proposed changes to the disclosure regulatory technical standards (RTS) and implementing technical standards (ITS).

    In particular the consultation will focus on the four proposed options. These include “putting .......

    Market Moves 21 December 2023

  • Risk transfer round-up - 21 December

    The week's CRT developments and deal news

    Deal news
    The EIB Group has provided a €163m unfunded guarantee to Santander’s latest synthetic securitisation, supporting energy efficiency and climate action projects in the Spanish residential property market. The transaction will facilitate new green and sustainable mortgages, enabling individuals to invest in building renovations or new construction with high energy-efficiency standards, in compliance with the eligibility conditions defined by .......

    News 21 December 2023

  • Performance-related triggers RTS adopted

    Market updates and sector developments

    The European Commission has released a Commission Delegated Regulation supplementing the Securitisation Regulation with regard to regulatory technical standards (RTS) specifying performance-related triggers and the criteria for the calibration of those triggers in STS synthetic securitisations. The RTS specify the two mandatory triggers under point (a) of Article 26c(5) of the Securitisation Regulation, set out the additional mandatory backward-looking .......

    Market Moves 18 December 2023

  • PRA publishes first Basel policy statement

    Market updates and sector developments

    The PRA has published the first of two near-final policy statements covering the implementation of the Basel 3.1 standards for market risk, credit valuation adjustment risk, counterparty credit risk and operational risk. The near-final policy statement takes into account feedback received to the PRA’s consultation paper (CP) on the Basel 3.1 standards published in November 2022.

    The PRA .......

    Market Moves 15 December 2023

  • CRT Market Update

    Closing days

    As the final week before the Christmas break rolls around, the remainder of the Q4 SRT pipeline is making its way across the line.

    While earlier in the week it had been reported that Bank Millennium and Santander (in the US) had finalised transactions, news has additionally emerged that both Eurobank and BNP Paribas have recently closed .......

    News 15 December 2023

  • Basel 3 'roadmap', reporting ITS published

    Market updates and sector developments

    The EBA has published its roadmap on the so-called Banking Package, which implements the final Basel 3 reforms in the EU. The roadmap aims to strengthen the prudential framework, as well as ensure an international level playing field. It also seeks to provide clarity on how it will develop the mandates implementing the legislation and finalise the most significant .......

    Market Moves 14 December 2023

  • Basel 4 series: A swinging pendulum - video

    Market participants share their insights into whether Basel 4 is in line with industry expectations

    .......

    News Analysis 14 December 2023

  • LTEL issue

    SES highlights competitiveness concerns

    The EBA’s final RTS on synthetic excess spread (SES) generally sparked optimism across the CRT market (SCI 6 May). Nevertheless, divergences around increased calibration and SES on certain portfolios highlight a broader issue of governance and competitiveness within the European regulatory apparatus.  

    Recently, investors have been reporting of a potential structural shift, leading to a significant .......

    News Analysis 14 December 2023

  • Arch enemy

    Wider ILN new issue spreads foreseen post-Bellemeade calls

    The negative repercussions of Arch’s cancellation of eight Bellemeade insurance-linked notes (ILNs) will be felt in the market for the foreseeable future, say well-placed sources.

    The decision to call these bonds on November 21 has soured the market and .......

    News Analysis 13 December 2023

  • Polish SRT finalised

    Bank Millennium closes largest synthetic to date

    Bank Millennium has completed a synthetic securitisation referencing a portfolio of Polish unsecured non-mortgage loans with a total value of PLN7.2bn. This latest trade represents Bank Millennium’s largest-ever SRT deal.

    The Polish bank transferred a significant part of the credit risk of the securitised portfolio to a single investor. As part of the transaction, Bank Millennium issued on 11 .......

    News 12 December 2023

  • Unusual structure debuts

    Santander out with auto CLN

    Santander Bank Auto Credit-Linked Notes Series 2023-B (SBCLN 2023-B) has hit the market, representing Santander’s second CLN transaction this year to reference a pool of US auto loans. The deal is unusual in that the source of principal payments for the notes will be a cash collateral account held by a third party with a rating of A2 or .......

    News 12 December 2023

  • CRT Market Update

    Looking ahead

    With only a couple of weeks left before the Christmas break, market participants’ focus already appears to be geared towards the new year.

    Regarding the past and current SRT pipeline, one investor does not expect any new deals to price between now and the end of the year, noting that “pretty much everybody has closed their books.”

    Previously  News 8 December 2023

  • Job swaps weekly: EU finance ministers choose Calviño for EIB

    People moves and key promotions in securitisation

    This week’s roundup of securitisation job swaps sees Nadia Calviño chosen to become head of the European Investment Bank (EIB). Elsewhere, the Structured Finance Association welcomes seven industry leaders to its new board of directors, while a Mayer Brown partner and structured finance specialist has joined Jones Day as partner in its London office.

    Spain’s deputy prime minister .......

    Market Moves 8 December 2023

  • Basel 4 series: Levelling the playing field - video

    Market participants share their insights about why further a...

    .......

    News Analysis 6 December 2023

  • SRT inspection

    Lawmaker warns of perceived SRT risks

    The risks of SRT trades “may not be fully understood” Senator Jack Reed, (D-RI) has warned US regulators. In a letter to the Federal Reserve, the Federal Deposit Insurance Corporation (FDIC) and the Office of the Comptroller of the Currency (OCC), Reed, a .......

    Market Moves 5 December 2023

  • Salisbury sees momentum

    Lloyds' latest SME SRT unveiled

    Lloyds has executed Salisbury 2023-1, the seventh synthetic securitisation from its Salisbury programme, following Salisbury 2022-1 in April 2022.

    The significant risk transfer transaction references a £1.75bn portfolio of UK SME loans extended to circa 3,500 borrowers located across the UK and originated by Lloyds. In terms of sectors, the portfolio comprises 41% real estate exposures, 28% in healthcare, .......

    News 5 December 2023
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